Report NEP-RMG-2025-11-17

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Zhanyi Jiao & Qiuqi Wang & Yimiao Zhao, 2025, "Standard and comparative e-backtests for general risk measures," Papers, arXiv.org, number 2511.05840, Nov.
• Purba Banerjee & Srikanth Iyer & Shashi Jain, 2025, "Robust Hedging of path-dependent options using a min-max algorithm," Papers, arXiv.org, number 2511.00781, Nov.
• Tamara Broderick & Ali Jadbabaie & Vanessa Lin & Manuel Quintero & Arnab Sarker & Sean R. Sinclair, 2025, "Network and Risk Analysis of Surety Bonds," Papers, arXiv.org, number 2511.05691, Nov.
• Matteo Crosignani & Thomas M. Eisenbach & Fulvia Fringuellotti, 2025, "Banking System Vulnerability: 2025 Update," Liberty Street Economics, Federal Reserve Bank of New York, number 20251104, Nov, DOI: 10.59576/lse.20251104.
• M. Cadoni & R. Melis & A. Trudda, 2025, "Volatility analysis: a multifractional approach with mixtures of Beta distributions," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 202515.
• Martins, Igor F. B. Martins & Virbickaitè, Audronè & Nguyen, Hoang & Hedibert, Freitas Lopes, 2025, "Fast and Slow Level Shifts in Intraday Stochastic Volatility," Working Papers, Örebro University, School of Business, number 2025:12, Nov.
• Cansu Isler, 2025, "Words Matter: Forecasting Economic Downside Risks with Corporate Textual Data," Papers, arXiv.org, number 2511.04935, Nov.
• Carlo Zarattini & Andrew Aziz & Antonio Mele, 2025, "The Volatility Edge, A Dual Approach For VIX ETNs Trading," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-91, Oct.
• Beverly Hirtle & Matthew Plosser, 2025, "Economic Capital: A Better Measure of Bank Failure?," Liberty Street Economics, Federal Reserve Bank of New York, number 20251106, Nov, DOI: 10.59576/lse.20251106.
• McQuade, Peter & Pancaro, Cosimo & Reghezza, Alessio & Avril, Pauline, 2025, "Geopolitical risk, bank lending and real effects on firms: evidence from the Russian invasion of Ukraine," Working Paper Series, European Central Bank, number 3143, Nov.
• Nikolas Anic & Andrea Barbon & Ralf Seiz & Carlo Zarattini, 2025, "ChatGPT in Systematic Investing - Enhancing Risk-Adjusted Returns with LLMs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-94, Oct.
• Bermin, Hans-Peter & Holm, Magnus, 2025, "Limiting Distribution of the Maximum Drawdown for Brownian Motion with Positive Drift," Working Papers, Lund University, Department of Economics, number 2025:9, Nov.
• Hamidreza Maleki Almani, 2025, "Insights into Tail-Based and Order Statistics," Papers, arXiv.org, number 2511.04784, Nov.

Report NEP-RMG-2025-11-17

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report: